evolutiondescription.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006, 2007 Ferdinando Ametrano
 Copyright (C) 2006, 2007 Mark Joshi
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_evolution_description_hpp
#define quantlib_evolution_description_hpp
 
#include <ql/types.hpp>
#include <vector>
 
namespace QuantLib {
 
 
    class EvolutionDescription {
        // This typedef is used so that gcc 3.3 can parse the
        // constructor declaration (not even parenthesizing the
        // default argument worked)
        typedef std::pair<Size,Size> range;
      public:
        EvolutionDescription() = default;
        explicit EvolutionDescription(
            const std::vector<Time>& rateTimes,
            const std::vector<Time>& evolutionTimes = std::vector<Time>(),
            const std::vector<std::pair<Size,Size> >& relevanceRates =
                                                        std::vector<range>());
        const std::vector<Time>& rateTimes() const;
        const std::vector<Time>& rateTaus() const;
        const std::vector<Time>& evolutionTimes() const;
        //const Matrix& effectiveStopTimes() const;
        const std::vector<Size>& firstAliveRate() const;
        const std::vector<std::pair<Size,Size> >& relevanceRates() const;
        Size numberOfRates() const;
        Size numberOfSteps() const;
      private:
        Size numberOfRates_;
        std::vector<Time> rateTimes_, evolutionTimes_;
        std::vector<std::pair<Size,Size> > relevanceRates_;
        // convenience variables
        std::vector<Time> rateTaus_;
        std::vector<Size> firstAliveRate_;
    };
 
    // Numeraire functions
 
    void checkCompatibility(const EvolutionDescription& evolution,
                            const std::vector<Size>& numeraires);
 
    bool isInTerminalMeasure(const EvolutionDescription& evolution,
                             const std::vector<Size>& numeraires);
    bool isInMoneyMarketPlusMeasure(const EvolutionDescription& evolution,
                                    const std::vector<Size>& numeraires,
                                    Size offset = 1);
    bool isInMoneyMarketMeasure(const EvolutionDescription& evolution,
                                const std::vector<Size>& numeraires);
 
    std::vector<Size> terminalMeasure(const EvolutionDescription& evolution);
 
    std::vector<Size> moneyMarketPlusMeasure(const EvolutionDescription&,
                                             Size offset = 1);
 
    std::vector<Size> moneyMarketMeasure(const EvolutionDescription&);
 
}
 
#endif